摘要翻译:
Dupire公式在非扩散环境下失败有几个(数学)原因。然而,在实践中,对期权数据的特殊预处理工作得相当好。在这篇文章中,我们试图解释其中的原因。特别地,我们提出了一个期权数据的正则化过程,使得Dupire的局部vol扩散过程重现正确的期权价格,即使在明显存在跳变的情况下。
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英文标题:
《How to make Dupire's local volatility work with jumps》
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作者:
Peter K. Friz, Stefan Gerhold, Marc Yor
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最新提交年份:
2013
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
There are several (mathematical) reasons why Dupire's formula fails in the non-diffusion setting. And yet, in practice, ad-hoc preconditioning of the option data works reasonably well. In this note we attempt to explain why. In particular, we propose a regularization procedure of the option data so that Dupire's local vol diffusion process recreates the correct option prices, even in manifest presence of jumps.
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PDF链接:
https://arxiv.org/pdf/1302.5548